MULTIVARIATE STOCHASTIC-DOMINANCE AND MOMENTS

被引：7
|
作者：
OBRIEN, GL [1 ]
SCARSINI, M [1 ]
机构：
[1] UNIV LA SAPIENZA,DIPARTIMENTO SCI ATTUARIALI,I-00161 ROME,ITALY
来源：
MATHEMATICS OF OPERATIONS RESEARCH | 1991年 / 16卷 / 02期
关键词：
MOMENTS; MOMENT INEQUALITIES; MULTIVARIATE DISTRIBUTION FUNCTIONS; STOCHASTIC DOMINANCE;
D O I：
10.1287/moor.16.2.382
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
The sequence greater-than-or-equal-to n(d) of nth degree stochastic dominances for d-dimensional distribution functions is defined. It is shown that, under some regularity conditions, greater-than-or-equal-to n(d) implies greater-than-or-equal-to n(d-1) for the (d - 1)-dimensional marginals. Also some necessary conditions for greater-than-or-equal-to n(d) are established. These conditions, which involve moments, are analogous to the ones proved by Fishburn (1980b) and O'Brien (1984) for univariate distributions.
引用
收藏
页码：382 / 389
页数：8
相关论文
共 50 条
12345